Inference of seasonal cointegration with linear restrictions

DOI10.1080/10629360600569436zbMath1202.62123OpenAlexW2139674944MaRDI QIDQ5433112

Sinsup Cho, Byeongchan Seong, Sung K. Ahn

Publication date: 19 December 2007

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600569436

zbMATH Keywords

hypothesis testingseasonal unit rootcointegrating vectorsGaussian reduced-rank estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Point estimation (62F10)

Cites Work

• Seasonal integration and cointegration
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Maximum likelihood inference on cointegration and seasonal cointegration
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• A small sample correction for tests of hypotheses on the cointegrating vectors
• Nested Reduced-Rank Autogressive Models for Multiple Time Series
• Elements of multivariate time series analysis.
• Unnamed Item

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